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Estimation of the vector moving average model by vector autoregression
Galbraith, John W.; Ullah, Aman; Zinde-Walsh, Victoria - In: Econometric reviews 21 (2002) 2, pp. 205-219
Persistent link: https://www.econbiz.de/10001704803
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GARCH model estimation using estimated quadratic variation
Galbraith, John W.; Zinde-Walsh, Victoria; Zhu, Jingmei - In: Econometric reviews 34 (2015) 6/10, pp. 1172-1192
Persistent link: https://www.econbiz.de/10011483454
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ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
Galbraith, John; Ullah, Aman; Zinde-Walsh, Victoria - In: Econometric reviews 21 (2002) 2, pp. 205-220
Persistent link: https://www.econbiz.de/10006893913